bond duarion and sensitivity analyses assignment

Bond Duration and Bond Sensitivity Analysis Name ID Class Section Consider the following information of a bond - (Use your own figures as stated in Canvas): Market Price (PV) - $ Coupon Rate 1.45 Maturity years Payment Frequency (M) = semi-Annual Compute: (1. Show computations. 2. Do not type this assignment) 1) Annual YTM 2) Annual Duration _Years 3) Annual Modified Duration Years 4) Change in price Amount (S) 5) Percentage change in price % PVCF Probability Semi-Annual PMT CF CF/(1+YTM PVCFM (PVCF/Price (Probability. PMT) N Duration (Probability N . 1. Compute YTM FV = PV = PMT = Coupon Rate * FV/M = N*M = CPTI (YTM) - Semi-Annual YTM = Annual YTM = Semi-Annual 2 = 2. Compute Duration A. Annual Duration (from table) B. Annual Duration (Sum of PVCF* N) / (Sum of PVCF) C. Semi Duration (Annual Duration/2) 3. Compute Modified Duration (MD) a. Annual MD Annual Duration /(1+YTM) B. Semi-Annual MD Annual Duration / 1 + (YTM/2) 4. Change in Price (150 basis point increase in interest rate) Beginning Price Ending Price FV = FV PV (Price) = CPT PV (Price) = States) C. Semi Duration (Annual Duration/2) 3. Compute Modified Duration (MD) a. Annual MD Annual Duration /(1+YTM) + B. Semi-Annual MD Annual Duration / 1 + (YTM/2) 4. Change in Price (150 basis point increase in interest rate) Beginning Price Ending Price FV FV PV (Price) = CPT PV (Price) = PMT PMT = N 11 N YTM CPT YTM = HI a) Change in Price = Ending Price - Beginning Price = b) Percentage change in price = (Change in Price/Beginning Price) 100 d Staten